use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …